Rudiger Kiesel's Alternative Investments and Strategies PDF

By Rudiger Kiesel

ISBN-10: 9814280100

ISBN-13: 9789814280105

This e-book combines educational study and sensible services on replacement resources and buying and selling recommendations in a different means. The asset sessions which are mentioned comprise: credits threat, cross-asset derivatives, power, deepest fairness, freight agreements, substitute genuine resources (ARA), and socially accountable investments (SRI). The insurance on buying and selling and funding recommendations are directed at portfolio assurance, in particular consistent percentage portfolio assurance (CPPI) and incessant share debt legal responsibility (CPDO) suggestions, strong portfolio optimization, and hedging suggestions for unique techniques.

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Example text

13 shows the optimal portfolio weights as well as the computed performance measures , Score-value, MCVaR, and Sharpe ratio. The first three were already introduced in Sec. 5. The well-known Sharpe ratio measures the expected excess return over the riskless investment in units of standard May 12, 2010 17:46 WSPC/SPI-B913 Socially Responsible Investments b913-ch01 FA 17 deviation (see [24]). The low risk–averse Investor C invests largely into SRI. In the mean-variance (MV), the power-utility (PU), and the Omega framework, he allocates around 90% into SRI and in the Score-value and the MCVaR framework he is completely invested in SRI.

Carried interest is calculated either on a “fund-as-a-whole” basis, where the overall performance of a fund has to be in excess of the hurdle rate or a “deal by deal” approach with the proceeds of a single transaction necessitating to surpass the hurdle rate. Gross/Net Cash Flows. As illustrated in Fig. ” (2) Fund cash flows occur between the private equity fund and the investor (limited partner). Carried interest and management fees had already been deducted at that point; thus, they are also referred to as “net cash flow” or net distributions.

3) with portfolio return R, its mean µR , standard deviation σR , and risk-free rate r. Despite its intuitive formula (expected excess return per unit of risk in terms of standard deviation), it has one major shortcoming: Since risk is only measured in terms of standard deviation, the Sharpe ratio solely uses the first two moments of the return distribution and ignores characteristics of non-normally distributed returns. Therefore, it is not appropriate (or at least not sufficient) for return distributions, which show non-normal characteristics, such as it is the present case.

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Alternative Investments and Strategies by Rudiger Kiesel


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